A simplified pricing model for volatility futures

We develop a general model to price VIX futures contracts. The model is adapted to test both the constant elasticity of variance (CEV) and the Cox–Ingersoll–Ross formulations, with and without jumps. Empirical tests on VIX futures prices provide out-of-sample estimates within 2% of the actual futures price for almost all futures maturities. We show that although jumps are present in the data, the models with jumps do not typically outperform the others; in particular, we demonstrate the important benefits of the CEV feature in pricing futures contracts. We conclude by examining errors in the model relative to the VIX characteristics

Fulvalene titanium and zirconium complexes: synthesis and NMR study of phosphanido-, alkyl-, and alkynyl-derivatives. X-ray crystal structures of [{Ti(η5−C5H5)(μ−PPH2)}2{μ−(η5−C5H4−η5−C5H4)}] and [{Zr(η5−C5H5)(μ−C≡CSiMe3)}2{μ−(η5−C5H4−η5−C5H4)}]

Reaction of with one or two equivalents of LiPPh2 afforded the new phosphanidometal(III) complexes . Reaction of 2 with LiC≡CSiMe3 led to the diamagnetic zirconium(III) alkynyl derivative [{Zr(C5H5)(μ−C≡CSiMe3)}2(μ−η5−C5H4−η5−C5H4], 7. Alkylation of 6 with LiCH2CMe2Ph gave [{Zr(η5−C5H5)(CH2CMe2Ph)2}2{μ−(η5−C5H4)}], 8. A detailed NMR study of complexes 3 and 4 allowed the observation of the spectral behaviour of the eight different fulvalene protons through their coupling to the 31P nucleus. The fluxional behaviour of complex 7 was studied by dynamic DNMR, and kinetic parameters for the σ-π-conversion of the alkynyl ligand were determined. The molecular structures of complexes 3 and 7 were determined by X-ray diffraction methods.

The synthesis and properties of [Fe3(CO)11(RCN)] derivatives, and a high-yield general route to mono- and di-substituted derivatives of [Fe3(CO)12]; the crystal and molecular structure of [Fe3(CO)11(NCC6H4-2-Me)]

The clusters [Fe3(CO)11(RCN)] (1: R = Me, C3H5, C6H5, or C6H4-2-Me) have been prepared at low temperature from [Fe3(CO)12] and RCN in the presence of Me3NO. Compounds 1 react essentially quantitatively with a wide range of two-electron donors, L, (viz.: CO, PPh3, P(OMe)3, PPh2H, PPh2Me, PF3, CyNC (Cy = cyclohexyl), P(OEt)3, SbPh3, PBu3, AsPh3, or SnR2 (R = CH(SiMe3)2)) to give [Fe3(CO)11L] (2). In some cases (2), on treatment with Me3NO and then L′ (L′ = a second two-electron donor) yields [Fe3(CO)10LL′] in high yield. The crystal and molecular structures of 1 (L = NCC6H4Me-2) have been determined by a full single crystal structure analysis, and shown to have an axial nitrile coordinated at the unique iron atom, with two CO groups bridging the other two metal atoms.

Metal cluster expansion by addition of low valent group 14 reagents: III. Reaction of bis[bis(trimethylsilyl)methyl]tin with M3(CO)12 or its derivatives (M = Fe, Ru, or Os): the crystal and molecular structures of M3(μ-SnR2)2(CO)10(R = CH(SiMe3)2; M = Ru or Os)

The stannylene [SnR2] (R = CH(SiMe3)2) reacts in different ways with the three dodecacarbonyls of the iron triad: [Fe3(CO)12] gives [Fe2(CO)8(μ-SnR2)], [Ru3(CO)12] gives the planar pentametallic cluster [Ru3(CO)10(μ-SnR2)2], for which a full structural analysis is reported, while [Os3(CO)12] fails to react. Different products are also obtained from three nitrile derivatives: [Fe3-(CO)11(MeCN)] gives [Fe2(CO)6(μ-SnR2)2], which has a structure significantly different from that of known Fe2Sn2 clusters, [Ru3(CO)10(MeCN)2] gives the pentametallic cluster described above, while [Os3(CO)10(MeCN)2] gives the isostructural osmium analogue, which shows the unusual feature of a CO group bridging two osmium atoms.

Reaction of 2-methyl-1,4-naphthoquinone and its 3-substituted derivatives with active methylene group anions and with diazo compounds

The reaction of 2-chloro-3-methyl-1,4-naphthoquinone (3) with the anion of ethyl cyanoacetate led to a mixture of two epimeric fused-ring cyclopropane compounds, characterised as exo- and endo-1-cyano-1 -ethoxycarbonyl-1a-methyl-1a,7a-dihydro-1H-cyclopropa[b]naphthalene-2,7-dione (8) and (9). Various hydrolysis products of these were prepared and an X-ray crystallographic analysis was carried out on one of them, 1-carbamoyl-1 -carboxy-1a-methyl-1a,7a-dihydro-1H-cyclopropa[b]-naphthalene-2,7-dione (17). The reaction of 2-methyl-1,4-naphthoquinone (1) with ethyl diazoacetate gave a fused pyrazoline derivative, 3-ethoxycarbonyl-4-hydroxy-9a-methyl-1,9a-dihydro-benz[f]indazol-9-one (22), while reaction of 2-methyl-3-nitro-1,4-naphthoquinone (5) with diazomethane led to a fused Δ2-isoxazoline N-oxide, 3a-methyl-3,3a-dihydroisoxazolo[3,4-b]naphthalene-4,9-dione 1-oxide (26).

Alkenyl derivatives of the metals. Oxidative addition to intermediate tin(II) alkenyls; isolation, and crystal and molecular structure of n-butyltris(triphenylethenyl)tin(IV)

Reaction of tin(II) chloride with Li(CPhCPh2) at –78 °C in diethyl ether–hexane–tetrahydrofuran affords a deep red solution whose colour fades on warming, and which we believe contains the (unstable) first dialkenyltin(II) species. The latter survives long enough at low temperatures to undergo intermolecular oxidative addition, and one such adduct leads ultimately to the formation of Sn(CPhCPh2)3Bun, which has been fully characterised including a crystal and molecular structure study. The mechanism of formation of the final product has been examined and results are reported.

European CMBS pricing: bond, mortgage and real estate characteristics

The recent global economic crisis is often associated with the development and pricing of mortgage-backed securities (i.e. MBSs) and underlying products (i.e. sub-prime mortgages). This work uses a rich database of MBS issues and represents the first attempt to price commercial MBSs (i.e. CMBSs) in the European market. Our results are consistent with research carried out in the US market and we find that bond-, mortgage-, real estate-related and multinational characteristics show different degrees of significance in explaining European CMBS spreads at issuance. Multiple linear regression analysis using a databank of CMBSs issued between 1997 and 2007 indicates a strong relationship with bond-related factors, followed by real estate and mortgage market conditions. We also find that multinational factors are significant, with country of issuance, collateral location and access to more liquid markets all being important in explaining the cost of secured funding for real estate companies. As floater coupon tranches tend to be riskier and exhibit higher spreads, we also estimate a model using this sub-set of data and results hold, hence reinforcing our findings. Finally, we estimate our model for both tranches A and B and find that real estate factors become relatively more important for the riskier investment products.

Molecular modelling studies of binding of DACD derivatives into G-Quadruplex DNA: comparison of force field and quantum polarized ligand docking methods

The DNA G-qadruplexes are one of the targets being actively explored for anti-cancer therapy by inhibiting them through small molecules. This computational study was conducted to predict the binding strengths and orientations of a set of novel dimethyl-amino-ethyl-acridine (DACA) analogues that are designed and synthesized in our laboratory, but did not diffract in Synchrotron light.Thecrystal structure of DNA G-Quadruplex(TGGGGT)4(PDB: 1O0K) was used as target for their binding properties in our studies.We used both the force field (FF) and QM/MM derived atomic charge schemes simultaneously for comparing the predictions of drug binding modes and their energetics. This study evaluates the comparative performance of fixed point charge based Glide XP docking and the quantum polarized ligand docking schemes. These results will provide insights on the effects of including or ignoring the drug-receptor interfacial polarization events in molecular docking simulations, which in turn, will aid the rational selection of computational methods at different levels of theory in future drug design programs. Plenty of molecular modelling tools and methods currently exist for modelling drug-receptor or protein-protein, or DNA-protein interactionssat different levels of complexities.Yet, the capasity of such tools to describevarious physico-chemical propertiesmore accuratelyis the next step ahead in currentresearch.Especially, the usage of most accurate methods in quantum mechanics(QM) is severely restricted by theirtedious nature. Though the usage of massively parallel super computing environments resulted in a tremendous improvement in molecular mechanics (MM) calculations like molecular dynamics,they are still capable of dealing with only a couple of tens to hundreds of atoms for QM methods. One such efficient strategy that utilizes thepowers of both MM and QM are the QM/MM hybrid methods. Lately, attempts have been directed towards the goal of deploying several different QM methods for betterment of force field based simulations, but with practical restrictions in place. One of such methods utilizes the inclusion of charge polarization events at the drug-receptor interface, that is not explicitly present in the MM FF.

A question of value: a discussion of property pricing and definitions of value

Valuation is often said to be “an art not a science” but this relates to the techniques employed to calculate value not to the underlying concept itself. Valuation practice has documented different bases of value or definitions of value both internationally and nationally. This paper discusses these definitions and suggests that there is a common thread that ties the definitions together.

Pricing short leases and break clauses using simulation methodology

This paper examines the changes in the length of commercial property leases over the last decade and presents an analysis of the consequent investment and occupational pricing implications for commercial property investmentsIt is argued that the pricing implications of a short lease to an investor are contingent upon the expected costs of the letting termination to the investor, the probability that the letting will be terminated and the volatility of rental values.The paper examines the key factors influencing these variables and presents a framework for incorporating their effects into pricing models.Approaches to their valuation derived from option pricing are critically assessed. It is argued that such models also tend to neglect the price effects of specific risk factors such as tenant circumstances and the terms of break clause. Specific risk factors have a significant bearing on the probability of letting termination and on the level of the resultant financial losses. The merits of a simulation methododology are examined for rental and capital valuations of short leases and properties with break clauses.It is concluded that in addition to the rigour of its internal logic, the success of any methodology is predicated upon the accuracy of the inputs.The lack of reliable data on patterns in, and incidence of, lease termination and the lack of reliable time series of historic property performance limit the efficacy of financial models.

Forward pricing and the housing market: the pre-sales housing system in Taiwan

In countries that have experienced rapid economic development, the need to establish more efficient markets in which private property can be constructed has induced some innovative solutions. One such solution is the phenomenon of a pre-sales market of the kind that can be observed in Taiwan, Korea, and more recently in China. Developers sell their property before building is started in order to acquire financing for the development companies. This paper discusses the process and, by recognising the analogy between the pre-sales market and forwards markets, analyses the implications for developers